In Windows Explorer, you can create a share that is accessible from your network. Put the files in that folder, and on your Ubuntu system you can go to Network Places (I think it's called like that or similar). You should find your Windows share then, and then you can copy the files to your Ubuntu system.

Could this be that XP is formated in NTFS, and Linux can't read/see it?

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No, because you use the smb protocol here, so Windows takes care of reading/writing from/to its own partitions, so Ubuntu doesn't have to worry about that.

You could also install WinSCP on Windows, install ssh and openssh-server on the Ubuntu system, and transfer your files from Windows to Ubuntu with WinSCP (of course, you need Ubuntu's IP address so that you can connect).